Crying isn't wrong, it is just is an indicator of sadness and who wants to see another person sad? Like Leed says, some people don't want to see someone else unhappy and others are too reminded of their own unhappiness and public crying can be a trigger to them. Many people feel helpless watching someone cry and helplessness can be a very unpleasant feeling (worse than sadness to me).

People feeling helpless might want to leave to get away from that trigger or, if they are not very attuned to their feelings and what/why they are feeling them they may try to make you leave instead as if you are responsible for their helpless feelings instead of their own psychology.